Monetary Policy Report submitted to the Congress on February 27, 2008, pursuant to section 2B of the Federal Reserve Act
Figure of prices of indexes of credit default swaps on subprime mortgages, 2007-08. Data are plotted as two curves. The price of the BBB index of credit default swaps on subprime mortgages starts in January 2007 at almost 100 percent. The price declines sharply through the end of February, when it reaches roughly 70 percent. It then rises, reaching almost 80 percent in March, and stays at about that level until mid-June, when it starts declining steeply. At the end of July, it levels off and stays at around 40 percent for a couple of months before generally decreasing, reaching almost 10 percent as of early 2008. The price of the AAA index of credit default swaps on subprime mortgages starts in January 2007 at 100 percent. It stays about constant until the beginning of July; it then generally declines, with a few small increases, until February 2008, when it reaches about 65 percent.
Note: The data are daily and extend through February 21, 2008. The series shown refer to pools of mortgages that were originated in 2006:H2.
Source: Markit.